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CN 41-1437/TS  ISSN 2096-1553

带利息力和交易费用的风险模型的最优分红策略

岳毅蒙 ,  赵锐 ,  王辉

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岳毅蒙, 赵锐, 王辉. 带利息力和交易费用的风险模型的最优分红策略[J]. 轻工学报, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
引用本文: 岳毅蒙, 赵锐, 王辉. 带利息力和交易费用的风险模型的最优分红策略[J]. 轻工学报, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
shu
YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
Citation: YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
shu

带利息力和交易费用的风险模型的最优分红策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000

  • 基金项目: 商洛学院科研项目(13SKY013,10SKY023,12SKY-FWDF011)
    陕西省教育科学"十二五"规划课题项目(SGH13406)
    陕西省教育厅科研项目(2013JK0605)
    陕西省自然科学基础研究计划项目(2013JM1023)

  • 中图分类号: O211.6;F840.47

Optimal dividend strategies for a risk model under force of interest and transaction cost

  • College of Mathematics and Computational Science, Shangluo University, Shangluo 726000, China

  • Received Date: 2014-08-20
    Available Online: 2014-11-15

    CLC number: O211.6;F840.47

  • 摘要: 研究了保险精算中带利息力和交易费用的经典风险模型的最优分红策略问题,认为:在分红约束的情况下,以股东的折现分红减去惩罚折现注资的差的期望值最大化为目标,利用随机控制理论建立相应的HJB方程,最终得到相应的解,并得出最优分红策略,是Threshold策略.
    Abstract: Considering the classical risk model with optimal dividend payments under force of interest and transaction cost, with maximizing the discounted dividend payments minus the penalized discounted capital injections as the object the corresponding Hamilton-Jacobi-Bellman equation was built by stochastic control theory.A method to determine numerically the solution to the integro-differential equation was derived.It showed that the optimal strategy was threshold strategy.
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      李艳坤 , 张伟 , 刘彦伶 . 数据融合策略在食用油真实性鉴别中的研究与应用进展. 轻工学报, 2024, 39(5): 50-59. doi: 10.12187/2024.05.006

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  • 收稿日期:  2014-08-20
  • 刊出日期:  2014-11-15
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岳毅蒙, 赵锐, 王辉. 带利息力和交易费用的风险模型的最优分红策略[J]. 轻工学报, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
引用本文: 岳毅蒙, 赵锐, 王辉. 带利息力和交易费用的风险模型的最优分红策略[J]. 轻工学报, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
shu
YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
Citation: YUE Yi-meng, ZHAO Rui and WANG Hui. Optimal dividend strategies for a risk model under force of interest and transaction cost[J]. Journal of Light Industry, 2014, 29(6): 99-102. doi: 10.3969/j.issn.2095-476X.2014.06.022
shu

带利息力和交易费用的风险模型的最优分红策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000
  • 收稿日期: 2014-08-20
  • 网络出版日期: 2014-11-15
基金项目:  商洛学院科研项目(13SKY013,10SKY023,12SKY-FWDF011)陕西省教育科学"十二五"规划课题项目(SGH13406)陕西省教育厅科研项目(2013JK0605)陕西省自然科学基础研究计划项目(2013JM1023)

摘要: 研究了保险精算中带利息力和交易费用的经典风险模型的最优分红策略问题,认为:在分红约束的情况下,以股东的折现分红减去惩罚折现注资的差的期望值最大化为目标,利用随机控制理论建立相应的HJB方程,最终得到相应的解,并得出最优分红策略,是Threshold策略.

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